Other users log on to the computer

I am having a problem with my Windows Vista computer.
When I try to restart my computer after installing an update from Windows, I am getting the message that
Other people are logged on to this computer. Shutting down Windows might cause them to lose data.
Do you want to continue shutting down?.

The problem is that I am the only one that uses this computer. I always make it a point to lock this computer when I am not using it, logging off from Yahoo Messenger and Outlook if I am not using them. I am afraid that someone is trying to access my computer illegally. I already tried to scan my computer using Mcafee but found no problem.
I received the same message before, and I just ignored it but I am now concerned that the Intruder is trying again.
I am afraid to use my computer now because I am using it to pay bills and shopping.
Please help.
Joan
